摘要
近几年来,用混沌理论来分析证券市场的变化规律,已经逐渐成为证券市场中非线性研究的热点.股票价格收益率及其波动常常表现为混沌特征,本文提供了一些方法来研究证券市场中的股票价格及其收益率所具有混沌特征.如Lyapunov指数为正则可以确认系统具有混沌行为,再由混沌吸引子的分形维数分析证券市场运行系统的混沌状态.从而得出我国证券市场运行于混沌状态的有力证据.
In recent years,it is very popular to use chaos in doing non-linear researches in securities market.Usually,the price of stock and its return rate in securities market have features of chaos.So,this paper offers some methods to investigate whether the price of stock and its return rate in securities market have features of chaos,Fox example,positive index of Lyapunov implies the system which have features of chaos.At the same time,we use fractal dimension to analyze chaotic characteristic of our securities market.In the end,we found that Positive Lyapunov exponent and fractional dimension demonstrate chaotic characteristic effectively in our securities market.
出处
《咸宁学院学报》
2006年第6期18-21,共4页
Journal of Xianning University
关键词
混沌吸引子
LYAPUNOV指数
相空间重构
混沌分形维数
Strange attractor
Lyapunov exponent
Reconstructions of phase space
The fractal dimension of chaotic attractor
